THE EFFECT OF BOND RATING AGENCY ANNOUNCEMENTS ON BOND AND STOCK-PRICES

被引：387

作者：

HAND, JRM ^{[1
]}

HOLTHAUSEN, RW ^{[1
]}

LEFTWICH, RW ^{[1
]}

机构：

[1] UNIV PENN,WHARTON SCH,PHILADELPHIA,PA 19104

来源：

JOURNAL OF FINANCE | 1992年 / 47卷 / 02期

关键词：

D O I：

10.2307/2329121

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines daily excess bond returns associated with announcements of additions to Standard and Poor's Credit Watch List, and to rating changes by Moody's and Standard and Poor's. Reliably nonzero average excess bond returns are observed for additions to Standard and Poor's Credit Watch List when an expectations model is used to classify additions as either expected or unexpected. Bond price effects are also observed for actual downgrade and upgrade announcements by rating agencies. Excluding announcements with concurrent disclosures weakens the results for downgrades, but not upgrades. The stock price effects of rating agency announcements are also examined and contrasted with the bond price effects.

引用

页码：733 / 752

页数：20

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